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Release of Dynare 4.3.3
by Sébastien Villemot 12 Apr '13

12 Apr '13

Dear Dynare friends, We are pleased to announce the release of Dynare 4.3.3. This is a bugfix release. The Windows packages are already available for download at: http://www.dynare.org/download/dynare-stable The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6. Here is a list of the problems identified in version 4.3.2 and that have been fixed in version 4.3.3: - Estimation with measurement errors was wrong if a correlation between two measurement errors was calibrated - Option `use_dll' was broken under Windows - Degenerate case of purely static models (no leads/no lags) were not correctly handled - Deterministic simulations over a single period were not correctly done - The sensitivity call `dynare_sensitivity(identification=1,morris=2)' was buggy when there are no shocks estimated - Calls to `shock_decomposition' after using `selected_variables_only' option fail - Sometimes, only the last open graph was saved, leading to missing and duplicate EPS/PDF graphs - Forecasting after maximum likelihood estimation when not forecasting at least one observed variables (`var_obs') was leading to crashes - Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode, MS-SBVAR) - Sometimes only the first order autocorrelation of `moments_varendo' was saved instead of all up to the value of `ar' option On behalf of the Dynare Team, -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

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Dynare Summer School 2013
by Sébastien Villemot 08 Mar '13

08 Mar '13

Dear Dynare friends, The Dynare Summer School 2013 will take place from June 24 to June 28, 2013 in Paris, France. GOALS OF THE SUMMER SCHOOL The school will provide an introduction to Dynare and to Dynamic Stochastic General Equilibrium (DSGE) modeling. The courses will focus on simulation and estimation of DSGE models with Dynare. It will be also the occasion to introduce the new features in Dynare 4.4 (to be released before the Summer School). Tao Zha (Federal Reserve Bank of Atlanta) will be the guest speaker, and will present the Markov-Switching tools in Dynare. This Summer school is aimed at beginners as well as at more experienced researchers. PhD students are encouraged to participate. APPLICATION Interested people should apply online at: http://www.dynare.org/ocs/index.php/summerschool/ss2013/ Application should be done *before April 14, 2013*. You will have to upload a CV and a recent research paper. We will confirm acceptance by April 22, 2013. People working in organizations member of DSGE-net (Bank of Finland, Banque de France, Capital Group, European Central Bank, Federal Reserve Bank of Atlanta, Norges Bank, Sverige Riksbank, Swiss National Bank) should register via their network representative. REGISTRATION FEE - Registration fee for academics (including lunches and one diner, but no accomodation): 150 € - Registration fee for financial institutions not member of DSGE-net (including lunches and one diner, but no accomodation): 1600 € WORKSHOP VENUE Banque de France 31 rue Croix des Petits Champs 75001 Paris France WORKSHOP ORGANIZATION This is a “portable only” workshop. Each participant is required to come with his/her portable computer with MATLAB version 7.0 or above installed. We will provide WiFi access, but participants shouldn't rely on it to access a MATLAB license server at their own institution. As an alternative to MATLAB, it is possible to use GNU Octave (free software, compatible with MATLAB syntax; see http://www.dynare.org/download/octave for details on GNU Octave installation). WORKSHOP DRESSING CODE Business casual. WORKSHOP ANIMATORS - Stéphane Adjemian (CEPREMAP and Université du Maine) - Michel Juillard (Banque de France) - Ferhat Mihoubi (CEPREMAP and Université d’Évry) - Marco Ratto (Joint Research Centre, European Commission) - Sébastien Villemot (CEPREMAP) - Tao Zha (Federal Reserve of Atlanta) This workshop is organized with the support of Banque de France, CEPREMAP and DSGE-net. PRELIMINARY PROGRAM See: http://www.dynare.org/ocs/index.php/summerschool/ss2013/schedConf/program -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

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Dynare source code now hosted on GitHub
by Sébastien Villemot 01 Mar '13

01 Mar '13

Dear Dynare friends, The source code of Dynare is now hosted on the GitHub platform, at the following address: https://github.com/DynareTeam/dynare We made this decision to migrate to GitHub because we think that it will facilitate contributions to the Dynare project. We welcome patches (either bugfixes or new features) submitted through Pull Requests. You can also report bugs or express your wishes for new features, by opening an Issue (before doing so, please make sure that what you report is really a bug or a missing feature: user support does not belong to GitHub, but to the Dynare forums; please also make sure that your issue is not already reported). Of course, the main website where latest news, documentation and binary downloads are hosted is unchanged and remains: http://www.dynare.org See you on GitHub, -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

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CfP: CEF2013 in Vancouver
by Michel Juillard 04 Feb '13

04 Feb '13

Dear Friends, I'm forwarding the call for papers for CEF 2013 in Vancouver. Apologizes to those of you have already received it. Papers dealing with original usage of Dynare can be submitted to Mathias Trabandt. All the best, Michel ----------------------------- > Conference Announcement and Call for Papers > http://www.comp-econ.org/CEF_2013 > > 19TH INTERNATIONAL CONFERENCE ON COMPUTING IN ECONOMICS AND FINANCE (CEF 2013) > Presented by the Society for Computational Economics > Sponsored by Simon Fraser University > July 10 through 12, 2013 – Vancouver, BC Canada > > The 19th Annual Conference on Computing in Economics and Finance (CEF 2013) > will take place at the Sheraton Wall Centre Hotel in Vancouver, BC Canada from > Wednesday, July 10 through Friday, July 12, 2013. The program will cover all > areas dealing with the computational aspects (broadly defined) of economics, > finance, and decision making. > > Program Committee Co-Chairs > Kenneth Kasa, Simon Fraser University - Canada > Paul Klein, Simon Fraser University - Canada > > Program Committee > Robert Amano, Bank of Canada - Canada > Mikhail Anufriev, University of Technology, Sydney - Australia > William Branch, University of California, Irvine - USA > Shu-Heng Chen, National Chengchi University - Taiwan > Ramo Gençay, Simon Fraser University - Canada > Viktoria Hnatkovska, University of British Columbia - Canada > Cars Hommes, University of Amsterdam/CeNDEF - The Netherlands > Blake LeBaron, Brandeis University - USA > Yulei Luo, University of Hong Kong - Hong Kong SAR > Thomas Lux, Universität Kiel - Germany > Bruce Mizrach, Rutgers University - USA > Makoto Nakajima, Federal Reserve Bank of Philadelphia - USA > Kristoffer Nimark, Universitat Pompeu Fabra - Spain > Michael Reiter, Institute for Advanced Studies - Austria > John Stachurski, Australian National University - Australia > Irina Telyukova, University of California San Diego - USA > Bart Taub, Durham University - UK > Mathias Trabandt, Federal Reserve Board of Governors - USA > > Plenary Speakers > John C. Williams > President and Chief Executive Officer, > Federal Reserve Bank of San Francisco > > Jesús Fernández-Villaverde > Professor of Economics > University of Pennsylvania > > William A. Brock > Vilas Research Professor of Economics > University of Wisconsin > Professor of Economics > University of Missouri > > Submissions > You are invited to submit a paper. Completed manuscripts or extended > abstracts can be submitted electronically via Conference Maker at > https://editorialexpress.com/cgi-bin/conference/conference.cgi?action=login… > > During submission you will be prompted to select a topic area from list below > which best describes the subject of your paper. Joint-authored papers should be > submitted by the author who is planning to present the paper. Presenters will > be limited to one paper each. > > Main Topic Areas > Agent-based modeling > Artificial/experimental markets > Asset pricing > Computational methods > Dynamic games > DSGE/business cycle modeling > Economic dynamics > Development and growth > Finance and financial crises > Fiscal policy > Heterogeneous-agent modeling > Inflation dynamics > Learning and evolutionary economics > Macro theory > Market structure > Monetary policy > Monte Carlo methods > Open-economy models and international macro > Optimal and robust control > Optimization and solution methods > Search and labor markets > Time series models > Volatility modeling > > Deadlines > Abstract submissions must be received on or before February 15, 2013 > Authors of accepted papers will be notified by April 1, 2013 > Registration for accepted papers must be completed and paid by May 15, 2013 > Full papers should be uploaded to Conference Maker by June 1, 2013 > > Pre-Conference Workshops > Details will be announced on the conference website. > > Student Prizes > The SCE sponsors cash prizes for the best graduate student paper presented at > the Conference. Details for eligibility and submission procedure are posted on > the conference website. Deadline for entry of complete paper is March 15, > 2013. > > Registration and Conference Information > All presenters, including those whose papers have been invited or solicited > by members of the program committee, will be expected to register and pay fees > to attend the conference. Details concerning the conference, including > instructions for registration and hotel reservations, etc., will be posted on > the conference website as information becomes available. Please visit the > website http://www.comp-econ.org/CEF_2013 for updated information, or direct > your questions via email to cef2013(a)simplemeetings.com. > > Please distribute this announcement to potential participants. -- Michel Juillard

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Release of Dynare 4.3.2
by Sébastien Villemot 18 Jan '13

18 Jan '13

Dear Dynare friends, We are pleased to announce the release of Dynare 4.3.2. This is a bugfix release. The Windows packages are already available for download at: http://www.dynare.org/download/dynare-stable The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6. Here is a list of the problems identified in version 4.3.1 and that have been fixed in version 4.3.2: - Computation of posterior distribution of unconditional variance decomposition was sometimes crashing (only for very large models) - Estimation with `mode_compute=6' was sometimes crashing - Derivative of erf() function was incorrect - The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was also used - Computation of conditional forecast when the constraint is only on one period was buggy - Estimation with `mode_compute=3' was crashing under Octave On behalf of the Dynare Team, -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

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Release of Dynare 4.3.1
by Sébastien Villemot 11 Oct '12

11 Oct '12

Dear Dynare friends, We are pleased to announce the release of Dynare 4.3.1. This release adds a few minor features and fixes various bugs. The Windows and Mac packages are already available for download at: http://www.dynare.org/download/dynare-stable The GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are strongly encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6. Here is the list of the main user-visible changes: * New features in the user interface: - New `@#ifndef' directive in the macro-processor - Possibility of simultaneously specifying several output formats in the `graph_format' option - Support for XLSX files in `datafile' option of `estimation' and in `initval_file' * Bugs and problems identified in version 4.3.0 and that have been fixed in version 4.3.1: - Shock decomposition was broken - The welfare computation with `ramsey_policy' was buggy when used in conjunction with `histval' - Estimation of models with both missing observations and measurement errors was buggy - The option `simul_replic' was broken - The macro-processor directive `@#ifdef' was broken - Identification with `max_dim_cova_group > 1' was broken for specially degenerate models (when parameter theta has pairwise collinearity of one with multiple other parameters, i.e. when all couples (theta,b), (theta,c), ... (theta,d) have perfect collinearity in the Jacobian of the model) - The `parallel_test' option was broken - Estimation with correlated shocks was broken when the correlations were specified in terms of correlation and not in terms of co-variance - The Windows package was broken with MATLAB 7.1 and 7.2 - When using `mode_compute=0' with a mode file generated using `mode_compute=6', the value of option `mh_jscale' was not loaded - Using exogenous deterministic variables at 2nd order was causing a crash - The option `no_create_init' for the `ms_estimation' command was broken - Loading of datafiles with explicit filename extensions was not working - The preprocessor had a memory corruption problem which could randomly lead to crashes On behalf of the Dynare Team, -- Sébastien Villemot Researcher in Economics http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04

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Release of Dynare 4.3.0
by Sébastien Villemot 15 Jun '12

15 Jun '12

Dear Dynare friends, We are pleased to announce the release of Dynare 4.3.0. This major release adds new features and fixes various bugs. The Windows and Mac packages are already available for download at: http://www.dynare.org/download/dynare-4.3 The GNU/Linux packages should follow soon. All users are strongly encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6. Here is the list of the main user-visible changes: * New major algorithms: - Nonlinear estimation with a particle filter based on a second order approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez (2005); this is triggered by setting `order=2' in the `estimation' command - Extended path solution method as in Fair and Taylor (1983); see the `extended_path' command - Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the reference manual) - Optimal policy under discretion along the lines of Dennis (2007); see the `discretionary_policy' command - Identification analysis along the lines of Iskrev (2010); see the `identification' command - The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the official Dynare distribution * Other algorithmic improvements: - Stochastic simulation and estimation can benefit from block decomposition (with the `block' option of `model'; only at 1st order) - Possibility of running smoother and filter on a calibrated model; see the `calib_smoother' command - Possibility of doing conditional forecast on a calibrated model; see the `parameter_set=calibration' option of the `conditional_forecast' command - The default algorithm for deterministic simulations has changed and is now based on sparse matrices; the historical algorithm (Laffargue, Boucekkine and Juillard) is still available under the `stack_solve_algo=6'option of the `simul' command - Possibility of using an analytic gradient for the estimation; see the `analytic_derivation' option of the `estimation' command - Implementation of the Nelder-Mead simplex based optimization routine for computing the posterior mode; available under the `mode_compute=8' option of the `estimation' command - Implementation of the CMA Evolution Strategy algorithm for computing the posterior mode; available under the `mode_compute=9' option of the `estimation' command - New solvers for Lyapunov equations which can accelerate the estimation of large models; see the `lyapunov' option of the `estimation' command - New solvers for Sylvester equations which can accelerate the resolution of large models with block decomposition; see the `sylvester' option of the `stoch_simul' and `estimation' commands - The `ramsey_policy' command now displays the planner objective value function under Ramsey policy and stores it in `oo_.planner_objective_value' - Theoretical autocovariances are now computed when the `block' option is present - The `linear' option is now compatible with the `block' and `bytecode' options - The `loglinear' option now works with purely backward or forward models at first order * New features in the user interface: - New mathematical primitives allowed in model block: `abs()', `sign()' - The behavior with respect to graphs has changed: + By default, Dynare now displays graphs and saves them to disk in EPS format only + The format can be changed to PDF or FIG with the new `graph_format' option + It is possible to save graphs to disk without displaying them with the new `nodisplay' option - New `nocheck' option to the `steady' command: tells not to check the steady state and accept values given by the user (useful for models with unit roots) - A series of deterministic shocks can be passed as a pre-defined vector in the `values' statement of a `shocks' block - New option `sub_draws' in the `estimation' command for controlling the number of draws used in computing the posterior distributions of various objects - New macroprocessor command `@#ifdef' for testing if a macro-variable is defined - New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be created only for certain exogenous variables - In the parallel engine, possibility of assigning different weights to nodes in the cluster and of creating clusters comprised of nodes with different operating systems (see the relevant section in the reference manual) - It is now possible to redefine a parameter in the `steady_state_model' block (use with caution) - New option `maxit' in the `simul' and `steady' commands to determine the maximum number of iterations of the nonlinear solver - New option `homotopy_force_continue' in the `steady' command to control the behavior when a homotopy fails - Possibility of globally altering the defaults of options by providing a file in the `GlobalInitFile' field of the configuration file (use with caution) - New option `nolog' to the `dynare' command line to avoid creating a logfile - New option `-D' to the `dynare' command line with for defining macro-variables * Miscellaneous changes: - The `use_dll' option of `model' now creates a MEX file for the static model in addition to that for the dynamic model - The `unit_root_vars' command is now obsolete; use the `diffuse_filter' option of the `estimation' command instead - New option `--burn' to Dynare++ to discard initial simulation points - New top-level MATLAB/Octave command `internals' for internal documentation and unitary tests * Bugs and problems identified in version 4.2.5 and that have been fixed in version 4.3.0: - Backward models with the `loglinear' option were incorrectly handled - Solving for hyperparameters of inverse gamma priors was sometimes crashing - The deterministic solver for purely forward models was broken - When running `estimation' or `identification' on models with non-diagonal structural error covariance matrices, while not simultaneously estimating the correlation between shocks (i.e. calibrating the correlation), the off-diagonal elements were incorrectly handled or crashes were occuring - When using the `prefilter' option, smoother plots were omitting the smoothed observables - In the rare case of entering and expression x as x^(alpha-1) with x being 0 in steady state and alpha being a parameter equal to 2, the Jacobian was evaluating to 0 instead of 1 - Setting the prior for shock correlations was failing if a lower bound was not explicitly specified * References: - Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New Solution Algorithms,” Macroeconomic Dynamics, 11(1), 31–55 - Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectation Models,” Econometrica, 51, 1169–1185 - Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal of Applied Econometrics, 20, 891–910 - Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of Monetary Economics, 57(2), 189–202 - Ratto, Marco (2008): “Analysing DSGE models with global sensitivity analysis'', Computational Economics, 31, 115–139 - Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for inference in large multiple-equation Markov-switching models,” Journal of Econometrics, 146, 255–274 -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04 - GPG Key: 4096R/381A7594

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Release of Dynare 4.2.5
by Sébastien Villemot 16 Mar '12

16 Mar '12

We are pleased to announce the release of Dynare 4.2.5. This is a bugfix release. The Windows and Mac packages for the new release are already available for download at the official Dynare website <http://www.dynare.org>. Linux packages should follow soon. All users are strongly encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 7.14 (R2012a) and with GNU Octave versions ranging from 3.0 to 3.6. Note that GNU Octave users under Windows will have to upgrade to GNU Octave version 3.6.1 (MinGW). The Octave installer can be downloaded at: http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe Here is a non-exhaustive list of the problems identified in version 4.2.4 and that have been fixed in version 4.2.5: * The MATLAB optimization toolbox was sometimes not correctly detected even when installed * Using the inverse gamma distribution with extreme hyperparameter values could lead to a crash * Various issues in the accelerated deterministic solver with block decomposition * Various issues in the parallelization engine * Compatibility issues with the Global Sensitivity Analysis toolbox * The Dynare++ binary was broken in the Windows package because of a missing dynamic library -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04 - GPG Key: 4096R/381A7594

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Dynare Summer School 2012
by Sébastien Villemot 13 Mar '12

13 Mar '12

The Dynare Summer School 2012 will take place from June 18 to June 22, 2012 in Paris, France. GOALS OF SUMMER SCHOOL The school will provide an introduction to Dynare and to Dynamic Stochastic General Equilibrium (DSGE) modeling. Dynare is a free sofware for simulating and estimating DSGE models. The courses will focus on simulation, estimation of DSGE models as well as computation of optimal policy, identification and sensitivity analysis. It will be also the occasion to introduce the new features in Dynare 4.3 (to be released before the Summer School). This Summer school is aimed at beginners as well as at more experienced researchers. PhD students are encouraged to participate. APPLICATION Interested people should fill the form at: http://www.dynare.org/django2/SummerSchool/ Application should be done *before April 1st, 2012*. You will have to upload a CV and a recent research paper. We will confirm acceptance by April 15, 2012. People working in organizations member of DSGE-net (Bank of Finland, Banque de France, Capital Group, European Central Bank, Federal Reserve Bank of Atlanta, Norges Bank, Sverige Riksbank, Swiss National Bank) should register via their network representative. REGISTRATION FEE - Registration fee for academics (including lunches and one diner, but no accomodation): 150 € - Registration fee for financial institutions not member of DSGE-net (including lunches and one diner, but no accomodation): 1600 € WORKSHOP VENUE Banque de France 31 rue Croix des Petits Champs 75001 Paris France WORKSHOP ORGANIZATION This is a “portable only” workshop. Each participant is required to come with his/her portable computer with MATLAB version 7.0 or above installed. We will provide WiFi access, but participants shouldn't rely on it to access a MATLAB license server at their own institution. As an alternative to MATLAB, it is possible to use the free software GNU Octave, version 3.0 or higher (see http://www.dynare.org/DynareWiki/DynareOctave). WORKSHOP DRESSING CODE Casual. WORKSHOP ANIMATORS - Stéphane Adjemian (CEPREMAP and Université du Maine) - Michel Juillard (Banque de France) - Ferhat Mihoubi (CEPREMAP and Université d’Évry) - Sébastien Villemot (CEPREMAP and Paris School of Economics) - Marco Ratto (Joint Research Centre, European Commission) This workshop is organized with the support of Banque de France, CEPREMAP and DSGE-net. PRELIMINARY PROGRAM See: http://www.dynare.org/summerschool/2012/program.pdf -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04 - GPG Key: 4096R/381A7594

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Dynare Conference 2012
by Sébastien Villemot 21 Feb '12

21 Feb '12

Dear Dynare users and friends, The 8th annual Dynare Conference will be held in Zurich (Switzerland) on September 20–21, 2012. The call for papers is enclosed. Regards, -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04 - GPG Key: 4096R/381A7594

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